Alexei D. Chepelianskii

Alexei D. Chepelianskii, Satya N. Majumdar, Hendrik Schawe et al.

Among random sampling methods, Markov Chain Monte Carlo algorithms are foremost. Using a combination of analytical and numerical approaches, we study their convergence properties towards the steady state, within a random walk Metropolis scheme. Analysing the relaxation properties of some model algorithms sufficiently simple to enable analytic progress, we show that the deviations from the target steady-state distribution can feature a localization transition as a function of the characteristic length of the attempted jumps defining the random walk. While the iteration of the Monte Carlo algorithm converges to equilibrium for all choices of jump parameters, the localization transition changes drastically the asymptotic shape of the difference between the probability distribution reached after a finite number of steps of the algorithm and the target equilibrium distribution. We argue that the relaxation before and after the localisation transition is respectively limited by diffusion and rejection rates.

Alexei D. Chepelianskii, Satya N. Majumdar, Hendrik Schawe et al.

We study analytically the relaxation eigenmodes of a simple Monte Carlo algorithm, corresponding to a particle in a box which moves by uniform random jumps. Moves outside of the box are rejected. At long times, the system approaches the equilibrium probability density, which is uniform inside the box. We show that the relaxation towards this equilibrium is unusual: for a jump length comparable to the size of the box, the number of relaxation eigenmodes can be surprisingly small, one or two. We provide a complete analytic description of the transition between these two regimes. When only a single relaxation eigenmode is present, a suitable choice of the symmetry of the initial conditions gives a localizing decay to equilibrium. In this case, the deviation from equilibrium concentrates at the edges of the box where the rejection probability is maximal. Finally, in addition to the relaxation analysis of the master equation, we also describe the full eigen-spectrum of the master equation including its sub-leading eigen-modes.

Robert Palovics, Balint Daroczy, Andras Benczur et al.

We investigate the statistical properties of votes of customers for spots of France collected by the startup company NOMAO. The frequencies of votes per spot and per customer are characterized by a power law distributions which remain stable on a time scale of a decade when the number of votes is varied by almost two orders of magnitude. Using the computer science methods we explore the spectrum and the eigenvalues of a matrix containing user ratings to geolocalized items. Eigenvalues nicely map to large towns and regions but show certain level of instability as we modify the interpretation of the underlying matrix. We evaluate imputation strategies that provide improved prediction performance by reaching geographically smooth eigenvectors. We point on possible links between distribution of votes and the phenomenon of self-organized criticality.